Because padded saddles cause you to sink down into them which causes unnecessary friction and makes them uncomfortable. Unpadded saddles are more comfortable.
When it comes to comfort on the bicycle ...
1) Make sure your bicycle is set up so that it fits you properly. It also helps if you are not too upright.
2) Make sure you've got the right saddle for you. It needs to be wide enough so that your sitbones are comfortably placed on it, but not too wide. It should also be firm enough to support your sitbones.
3) Get a decent pair of cycling shorts with enough padding to cover your sitbones but not too much so that it bunches and causes friction.
4) Strengthen your upper body and core. You should not be putting all your weight on the saddle. Much of your weight should be on your feet, but that requires a strong core.
5) Sit with good posture.
6) Ride lots. And exercise lots in general.